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dc.contributor.author
Gialamidis, Georgios
en
dc.date.accessioned
2016-05-11T11:10:59Z
dc.date.available
2016-05-12T00:00:22Z
dc.date.issued
2016-05-11
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/14525
dc.rights
Default License
dc.subject
Credit Rating
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dc.subject
European Debt Crisis
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dc.subject
Information Transfer
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dc.subject
Market Reaction
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dc.title
The Impact of Credit Rating Changes on European Countries
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heal.type
masterThesis
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heal.creatorID.email
gialamidis@gmail.com
heal.classification
Financial Economics
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heal.keywordURI.LCSH
Credit ratings
heal.keywordURI.LCSH
Credit ratings--Europe--Case studies
heal.keywordURI.LCSH
Credit ratings--European Union countries
heal.keywordURI.LCSH
Currency crises--European Union countries
heal.keywordURI.LCSH
Debts, Public--European Union countries
heal.keywordURI.LCSH
Financial crises-- European Union countries
heal.keywordURI.LCSH
Global Financial Crisis, 2008-2009
heal.keywordURI.LCSH
Equity
heal.language
en
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heal.access
free
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heal.license
http://creativecommons.org/licenses/by-nc/4.0
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heal.references
Bogdan, C, & Daniela, H 2014, 'IMPACT OF THE GLOBAL FINANCIAL CRISIS ON SOVEREIGN DEBT IN THE EUROPEAN UNION', Annals of the University of Oradea, Economic Science Series, vol. 23, no. 1, pp. 719-727.
el
heal.references
Bonitsis, T. H. (2011). Eurozone Competitiveness: An Analysis of the PIIGS. Proceedings of the Northeast Business & Economics Association, 478-480.
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Brooks C. (2014). Introductory Econometrics for Finance 3rd edition, Cambridge University Press
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Ehrmann, M., Fratzscher, M., & Rigobon, R. (2011). Stocks, bonds, money markets and exchange rates: measuring international financial transmission. Journal of Applied Econometrics, 26(6), 948-974
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Ferri, G., Liu, L., & Stiglitz, J. E. (1999). The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis. Economic, Economic Notes, 28(3), 335.
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Gande, A., & Parsley, D. C. (2005). News spillovers in the sovereign debt market. Journal of Financial Economics, 75(3), 691-734.
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Gianluca Mattarocci (2014) “The Independence of Credit Rating Agencies: How Business Models and Regulators Interact”, Elsevier Inc.
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Guillermo Larraín, Helmut Reisen, Julia von Maltzan (1997) “Emerging Market Risk and Sovereign Credit Ratings”, OECD Development Centre Working Papers, No.: 124.
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Hand, J. M., Holthausen, R. W., & Leftwich, R. W. (1992). The Effect of Bond Rating Agency Announcements on Bond and Stock Prices. Journal of Finance, 47(2), 733-752.
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Howard Daves (2010)”The Financial Crisis: Who is to Blame?” Polity Press, P 126
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Ineichen A. M. (2002) “Absolute Returns: The Risk and Opportunities of Hedge Fund Investing”, John Wiley & Sons, Inc. p 72
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John Ryan, (2012) “The negative impact of Credit Rating Agencies and proposals for better regulations”, Stiftung Wissenschaft und Politik, Working Paper FG 1, 2012/Nr. 01, Research Division EU Integration, German Institute for International and Security Affairs, Berlin, Germany.
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Kaminsky, G., & Schmukler, S. L. (2002). Financial Crises, Credit Ratings, and Bank Failures: Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?. World Bank Economic Review, 16(2), 171-195.
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Kaplan, R. S., & Urwitz, G. (1979). Statistical Models of Bond Ratings: A Methodological Inquiry. Journal of Business, 52(2), 231-261.
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Kliger, D., & Sarig, O. (2000). The Information Value of Bond Ratings. Journal of Finance, 55(6), 2879-2902.
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Langohr, Herwig; Patricia Langohr (2010). “The Rating Agencies and Their Credit Ratings: What They Are, How They Work.” Wiley. p 24,
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Nellie Munin, (2014). The Financial Crisis in the European Union: Legal and Economic Aspects of an Anti-democratic Stabilization Mechanism, International Conference on Global Economy, Commerce and Service Science (GECSS 2014)
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Nogueira Freitas A, Fonseca Minardi A. (2013) the Impact of Credit Rating Changes in Latin American Stock Markets. BAR - Brazilian Administration Review, 439-461.
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Reisen, H., & von Maltzan, J. (1999). Boom and Bust and Sovereign Ratings. International Finance, 2(2), 273.
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Ricardo N. Bebczuk (2005). Asymmetric Information in Financial Markets: Introduction and Applications. Cambridge University Press
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Stancu, I., & Minescu, A. (2011). The Impact of Sovereign Credit Ratings on the Issuance of Government Bonds in Central and Eastern Europe. Theoretical & Applied Economics, 18(6), 5-26.
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Steiner, M., & Heinke, V. G. (2001). EVENT STUDY CONCERNING INTERNATIONAL BOND PRICE EFFECTS OF CREDIT RATING ACTIONS. International Journal of Finance & Economics, 6(2), 139-157.
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Stiglitz, J. E., & Weiss, A.. (1981). Credit Rationing in Markets with Imperfect Information. The American Economic Review, 71(3), 393–410.
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Weinstein, M. I. (1977). The Effect of a Rating Change Announcement on Bond Price. Journal of Financial Economics, 5(3), 329-350.
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Wakeman, L., (1978). Bond rating agencies and the capital markets, working paper, University of Rochester, Rochester NY.
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heal.fileFormat
pdf
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heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
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heal.publicationDate
2015-11-30
heal.abstract
The influence of the Credit Rating Agencies upgrades and downgrades on debtors’ ability to pay back their debt timely and with a manageable default likelihood has been under examination for a long time. Our objective in this paper is to examine how the three major Credit Rating Agencies - CRAs (Moody’s, Standard & Poor’s, Fitch) affect the bond yields and equity returns in five European Union member States (Portugal, Ireland, Italy, Greece, Spain and France) which were identified us unable or in difficulty to refinance their government debt on their own during the economic crisis of 2008. Besides we will try to examine the information transfer from the aforementioned countries’ rating change to six other countries (Germany, Austria, Switzerland, Sweden, Netherlands, and UK) which have been specified as stable and trustworthy. More specifically, we employed an event study methodology to examine whether the change of a country’s credit worthiness delivers new information to market participants in accordance with a regression analysis aiming to examine the probability of having an impact in one country’s indicators because of the change in the rating of another country. We find that, the downgrades of the five countries under examination have a more significant impact compare to the upgrades for both the bond and stock markets. The most impactful country of the sample period was Greece followed by Portugal, Ireland, Italy and Spain. We conclude that there are evidence of specific information transfer among the examined countries.
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heal.tableOfContents
Abstract ................................ ................................ ................................ ................................ ......................... 2 Contents ................................ ................................ ................................ ................................ ........................ 3 1. Introduction ................................ ................................ ................................ ................................ .......... 4 1.1 The Bond Rating Process ................................ ................................ ................................ ..................... 4 2. The Retrospection of the Financial Crisis ................................ ................................ .............................. 8 2.1 The Beginning ................................ ................................ ................................ ................................ ...... 8 2.2 The Downgrades and their Impact ................................ ................................ ................................ .... 11 2.3 Financial Assistance of the Vulnerable Member States ................................ .............................. 15 2.3.1 Greece ................................ ................................ ................................ ................................ ........ 15 2.3.2 Portugal ................................ ................................ ................................ ................................ ...... 16 2.3.3 Ireland ................................ ................................ ................................ ................................ ........ 17 2.3.4 Spain ................................ ................................ ................................ ................................ ........... 17 3. Literature Review ................................ ................................ ................................ ................................ 18 4. Data Set ................................ ................................ ................................ ................................ ............... 22 5. Methodology ................................ ................................ ................................ ................................ ....... 24 5.1 Event Study Methodology ................................ ................................ ................................ ................. 24 5.2 Regression Analysis ................................ ................................ ................................ ........................... 25 6. Results ................................ ................................ ................................ ................................ ................. 26 6.1 Information Transfer ................................ ................................ ................................ ......................... 28 6.1.1 Greece ................................ ................................ ................................ ................................ ........ 28 6.1.2 Spain ................................ ................................ ................................ ................................ ........... 29 6.1.3 Portugal ................................ ................................ ................................ ................................ ...... 29 6.1.4 Ireland ................................ ................................ ................................ ................................ ........ 29 6.1.5 Italy ................................ ................................ ................................ ................................ ............. 30 6.2 Final Guidan ce ................................ ................................ ................................ ................................ ... 30 7. Conclusion ................................ ................................ ................................ ................................ ........... 31 8. References ................................ ................................ ................................ ................................ .......... 32 9. Appendix ................................ ................................ ................................ ................................ ............. 34
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heal.advisorName
Spyrou, Spyros
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heal.committeeMemberName
Archontakis, Fragiskos
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heal.committeeMemberName
Sikalidis, Alexandros
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heal.committeeMemberName
Spyrou, Spyros
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heal.academicPublisher
IHU
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heal.academicPublisherID
ihu
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heal.numberOfPages
48
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heal.spatialCoverage
European Union
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heal.temporalCoverage
2007-2015
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